Diversification through catastrophe bonds : lessons from the subprime financial crisis

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<rdf:Description>
<dc:creator>Carayannopoulos, Peter</dc:creator>
<dc:creator>Perez, M. Fabricio</dc:creator>
<dc:date>2015-01-05</dc:date>
<dc:description xml:lang="es">Sumario: Are catastrophe bonds (CAT bonds) zero-beta investments? Are they a valuable new source of diversification for investors? We study these questions by analysing the dynamic relations of CAT bond returns and the returns of the stock, corporate bond and government bond markets. Our multivariate GARCH model results provide evidence that CAT bonds are zero-beta assets only in non-crisis periods. We document that CAT bonds were not immune to the effects of the recent financial crisis. With the collapse of Lehman Brothers, CAT bond returns became significantly correlated with the market. However, the relatively small effect of the crisis on CAT bonds compared with other asset classes make them a valuable source of diversification for investors. Finally, it seems that the improved structures for new CAT bonds issued since 2009 have been positively received by the market, as CAT bond betas returned to pre-crisis levels.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/151000.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Mercado de valores</dc:subject>
<dc:subject xml:lang="es">Bonos</dc:subject>
<dc:subject xml:lang="es">Activos financieros</dc:subject>
<dc:subject xml:lang="es">Inversiones financieras</dc:subject>
<dc:subject xml:lang="es">Crisis financiera</dc:subject>
<dc:subject xml:lang="es">Fondo de Catástrofe</dc:subject>
<dc:subject xml:lang="es">Valoración de activos</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Métodos estadísticos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Diversification through catastrophe bonds : lessons from the subprime financial crisis</dc:title>
<dc:relation xml:lang="es">En: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 05/01/2015 Volumen 40 Número 1 - enero 2015 , p. 1-28</dc:relation>
</rdf:Description>
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